Name Change

Hi I am having a great concern to share regarding my name.
I am a student in US and got my visa in India.
My name as per my passport is:
First name: Axxxx Bxxxx
Last Name: blank
and in US visa they printed as:
First Name: FNU
Last Name: Axxxx Bxxxx
but because US has changed their rules on FNU so they now have my name in immigration as:
First Name: None
Last Name: Axxxx Bxxxx
So is in my US college and US driver's License
But when coming to EAD(Employment Authorization card) they put it as:
First Name: No name given
Last Name: Axxxx Bxxxx
and also SSN(social security card) was updated to match EAD
I am having so many problems with this so I decided to reach Indian Embassy in New York and they told me its just a name split so we can do it as:
First Name: Axxxx
Last Name: Bxxxx
But then I have to update my VISA because US follows names as per VISA but not passport.
And I am being asked to go to India and get a new VISA, for which it is possible that I might end up being in India though I am doing great at my studies.
Another thing would be can I legally change my name in US and will US immigration accept the name change and update as per the new name.
Could you please help me.
Thank you so much in advance,

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